Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Oct 22 (1D) Oct 23 (2D) Oct 24 (3D) Oct 27 (6D) Oct 28 (7D) Oct 29 (8D) Oct 30 (9D) Oct 31 (10D) Nov 03 (13D) Nov 04 (14D) Nov 07 (17D) Nov 14 (24D) Nov 21 (31D) Nov 28 (38D) Dec 05 (45D) Dec 12 (52D) Dec 19 (59D) Dec 26 (66D)
lower 664.894 662.241 660.205 655.61 654.352 653.182 652.083 651.044 648.204 647.333 644.889 639.919 635.635 631.813 628.33 625.109 622.098 619.261
upper 677.706 680.359 682.395 686.99 688.248 689.418 690.517 691.556 694.396 695.267 697.711 702.681 706.965 710.787 714.27 717.491 720.502 723.339
expected move 6.406 9.059 11.095 15.69 16.948 18.118 19.217 20.256 23.096 23.967 26.411 31.381 35.665 39.487 42.97 46.191 49.202 52.039
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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